This is a common problem with Windows Media Player. There are multiple ways of capturing an image from the video. Windows Media Player Version 10 has its own capture service that you can enable through the settings, and if you search the help files for 'capture' you should be able to find it. Another way would be to play it with some other program like Irfanview with the AVI plugin, or even Divx if it's a certain type of AVI file.
Hope this helps, if not, respond and I can assist you further.
EDIT: You can also use Quicktime, but it's a bit confusing. If the other methods don't work, I can explain the Quicktime method for you as well.